국소적 강력 단위근 검정 = Locally Powerful Unit-Root Test

다국어 초록 (Multilingual Abstract)

The unit root test is the major tool for determining whether we use differencing or detrending to eliminate the trend from time series data. Dickey-Fuller test (Dickey and Fuller, 1979) has the low power of test when the sample size is small or the true coefficient of AR(1) process is almost unit root and the Bayesian unit root test has complicated testing procedure. We propose a new unit root testing procedure, which mixed Bayesian approach with the traditional testing procedure. Using simulation studies, our approach showed locally higher powers than Dickey-Fuller test when the sample size is small or the time series has almost unit root and simpler procedure than Bayesian unit root test procedure. Proposed testing procedure can be applied to the time series data that are not observed as process with unit root.

참고문헌 (Reference)

1 Hamilton, J. D., "Time Series Analysis" Princeton University Press, Princeton 1994

2 박유성, "SAS/ETS를 이용한 시계열자료분석 I" 자유아카데미, 서울 2004

3 Reilly, C., "Poststrati¯cation without population level information on the poststratifying variable, with application to political polling" 96 : 1-11, 2001

4 Koop, G., "Objective' Bayesian unit root tests" 7 : 65-82, 1992

5 Chib, S., "Marginal likelihood from the Metropolis-Hastings output" 96 : 270-281, 2001

6 Chib, S., "Marginal likelihood from the Gibbs output" 90 : 1313-1321, 1995

7 Dickey, D. A., "Likelihood ratio statistics for autoregressive time series with a unit root" 49 : 1057-1072, 1981

8 Dickey, D. A., "Distribution of the estimators for autoregressive time series with a unit root" 74 : 427-431, 1979

9 Sims, C. A., "Bayesian skepticism on unit-root econometrics" 12 : 463-474, 1988

10 Stock, J. H., "Bayesian approaches to the `unit root' problem: A comment" 6 : 403-411, 1991

11 West, M., "Bayesian Forecasting and Dynamic Models" Springer, New York 1989

12 Kass, R. E., "Bayes factors" 90 : 773-795, 1995

13 Enders, W., "Applied Econometric Time Series" John Wiley & Sons, New York 2004